Where is the split-rating premium priced? International evidence on rating disagreement in corporate bond markets

The evidence that split-rated bonds carry a yield premium rests almost entirely on United States data. We ask whether the premium generalises internationally, using a cross-section of 37,250 bonds jointly rated by Moody’s and Fitch, with all valuation variables observed at the December 2025 month-end. Measuring disagreement as the notch distance between the two agency ratings and relating it to option-adjusted spreads, we compare like with like across markets, investment-grade corporate bonds, with standard errors clustered by issuer. The premium generalises from the United States to continental Europe: each notch of disagreement adds about six basis points to the spread in the United States (significant at the 1 per cent level) and about four in Europe (significant at the 10 per cent level), and a Wald test does not reject equality of the two coefficients. In the Asia-Pacific sample the premium is not found; a negative aggregate coefficient is sensitive to the inclusion of the Australian subsample and is not robust. Because under two per cent of Asia-Pacific bonds carry two global ratings, that sample is also unrepresentative of its market. The results extend the split-rating premium to continental Europe while cautioning against transplanting it to Asia-Pacific bonds.